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+Article 77c 2. |
Article 77c 2.For the purposes of paragraph 1(b), the fundamental spread shall be:
(a)
equal to the sum of the following:
(i)
the credit spread corresponding to the probability of default of the assets;
(ii)
the credit spread corresponding to the expected loss resulting from downgrading of the assets;
(b)
for exposures to Member States' central governments and central banks, no lower than 30 % of the long-term average of the spread over the risk-free interest rate of assets of the same duration, credit quality and asset class, as observed in financial markets;
(c)
for assets other than exposures to Member States' central governments and central banks, no lower than 35 % of the long-term average of the spread over the risk-free interest rate of assets of the same duration, credit quality and asset class, as observed in financial markets. The probability of default referred to in point (a)(i) of the first subparagraph shall be based on long-term default statistics that are relevant for the asset in relation to its duration, credit quality and asset class. Where no reliable credit spread can be derived from the default statistics referred to in the second subparagraph, the fundamental spread shall be equal to the portion of the long-term average of the spread over the risk-free interest rate set out in points (b) and (c). 1. Áttekintés
1.1 Hivatkozások1.2 Azonosított követelmények1.3 Kapcsolódó szabványok2. Azonosított követelmények
3. Kapcsolódó szabványok
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